Hi PyschoPenguin,
When creating meshes it’s better to use an external program like 3Ds Max. Maya, Blender, etc to create content. The tools provided in UE4 for simple geometry are better for quick prototyping to get a general idea about the layout of your levels.
In a 3D program you can get these smooth edges by beveling, or smoothing the edges and making use of smoothing groups.
I hope this helps.
Tim